NUMERICAL ANALYSIS OF A MINIMAX OPTIMAL CONTROL PROBLEM WITH AN ADDITIVE FINAL COST
Laura S. Aragone, Silvia C. Di Marco, Roberto L. V. González · Mathematical Models and Methods in Applied Sciences · 2002
In this paper we deal with the numerical analysis of an optimal control problem of minimax type with finite horizon and final cost. To get numerical approximations we devise here a fully discrete scheme which enables us to compute an approximated solution. We prove that the fully discrete solution converges to the solution of the continuous problem and we also give the order of the convergence rate. Finally we present some numerical results.